An Introduction to Oil Market Volatility Analysis

2012 ◽  
Author(s):  
Walid Omar Matar ◽  
Saud Al-Fattah ◽  
Tarek N. Atallah ◽  
Axel Pierru
Keyword(s):  
Market Volatility ◽  
Oil Market ◽  
Volatility Analysis

scholarly journals An introduction to oil market volatility analysis

2013 ◽  
Vol 37 (3) ◽  
pp. 247-269 ◽  
Author(s):  
Walid Matar ◽  
Saud M. Al-Fattah ◽  
Tarek Atallah ◽  
Axel Pierru
Keyword(s):  
Market Volatility ◽  
Oil Market ◽  
Volatility Analysis

scholarly journals Challenges in currency derivatives management in the OTC market in Poland during the Covid-19 pandemic

2021 ◽  
pp. 254-263
Author(s):  
Piotr Wybieralski
Keyword(s):  
Market Volatility ◽  
Professional Literature ◽  
Market Participants ◽  
Preventive Actions ◽  
Force Majeure ◽  
Early Settlement ◽  
Currency Derivatives ◽  
Volatility Analysis ◽  
Crisis Conditions ◽  
The Impact

Purpose: The aim of the chapter is to analyze the impact of the Covid-19 pandemic and market volatility increase on risk management in the OTC derivatives market in Poland. Design/methodology/approach: The chapter describes the legal background of derivatives trading with non-financial enterprises, then identifies the main risks, and discusses possible actions of market participants. In this regard, the study conducts volatility analysis based on selected market data. Findings: Due to volatility increase and the resulting negative valuation of non-matured currency derivatives by Polish exporters, margin call clauses were triggered, entailing the need to post additional collateral or prematurely close contracts. The described situation is particularly difficult when the pre-settlement limit is fully utilized on deal date, usually in the case of long-lasting large open exposures in non-flexible transactions. Research implications: To determine market risk, studies often apply the VaR approach. Inthis way, the specific amount of risk is analyzed on adaily basis and used by banks both to determine the maximum amount of the contract and to control pre-settlement risk. Apart from many advantages of the VaR approach, there are some drawbacks, especially related to volatility estimation, which usually relies on historical market fluctuations. It may cause that the risk will not be properly valued under crisis conditions. In such situations, supplementary methods should be also implemented (stresstests). Practical implications: Under high market volatility, preventive actions should be prepared in advance, including treasury limit increase, additional funds for collaterals, or contracts modification (flexible products should be considered).Originality and value: The study covers a challenge that banks face, which is rarely described in professional literature but very serious for bank management. Under normal market conditions, if the margin call clause appears and no additional collateral is posted, the transaction should be closed to limit the counterparty’s loss. However, this type of action during the pandemic may impose the risk of force majeure. From the company perspective, using such instruments threatens their early settlement and the need to finance closeout amount.

scholarly journals Forecasting crude-oil market volatility: Further evidence with jumps

2017 ◽  
Vol 67 ◽  
pp. 508-519 ◽  
Author(s):  
Amélie Charles ◽  
Olivier Darné
Keyword(s):  
Crude Oil ◽  
Market Volatility ◽  
Oil Market

scholarly journals Infectious Diseases, Market Uncertainty and Oil Market Volatility

Energies ◽  
2020 ◽  
Vol 13 (16) ◽  
pp. 4090 ◽  
Author(s):  
Elie Bouri ◽  
Riza Demirer ◽  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Infectious Diseases ◽  
Statistical Significance ◽  
Forecast Accuracy ◽  
Realized Volatility ◽  
Market Volatility ◽  
Market Uncertainty ◽  
Daily Newspaper ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Long Run

We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive effect of the EMVID index on the realized volatility of crude oil prices at the highest level of statistical significance, within-sample. Importantly, we show that incorporating EMVID into a forecasting setting significantly improves the forecast accuracy of oil realized volatility at short-, medium-, and long-run horizons. Our findings comprise important implications for investors and risk managers during the unprecedented episode of high uncertainty resulting from the COVID-19 pandemic.

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